A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given....

Some extensions of neoclassical growth models are discussed that allow for cross section heterogeneity among economies and evolution in rates of technological progress over time. The models offer a spectrum of transitional behavior among economies that includes convergence to a common steady...

This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...

Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed and extended. The methods are illustrated in some empirical applications and simulations. The empirical applications include macroeconomic data on inflation, financial data on...

This paper deals with error correction models (ECM's) and cointegrated systems that are formulated in continuous time. Problems of representation, identification, estimation and time aggregation are discussed. It is shown that every ECM in continuous time has a discrete time equivalent model in...

This paper provides an empirical implementation of some recent work by the author and Werner Ploberger on the development of "Bayes models" for time series. The methods offer a new data-based approach to model selection, to hypothesis testing and to forecast evaluation in the analysis of time...

This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The limit theory allows for both sequential limits, wherein T - infinity followed by n - infinity, and joint limits where T, n - infinity...

This paper establishes error orders for integral limit approximations to traces of powers to the pth order) of products of Toeplitz matrices. Such products arise frequently in the analysis of stationary time series and in the development of asymptotic expansions. The elements of the matrices are...

Some challenges for econometric research on trending time are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making.

Asymptotic expansions are developed for Wald test statistics in cointegrating regression models. These expansions provide an opportunity to reduce size distortion in testing by suitable bandwidth selection, and automated rules for doing so are calculated. Band spectral regression methods and...